Rollover from E-mini SP500 September (U) contract to December (Z) contract had a big "gap" (price difference) from Friday's close (of U contract) to Sunday's open (of Z contract).

What is the standard data that everyone is using?

1) CLC backadjusted data (this will have no gap in it).
2) CLC non-adjusted data (this will have the big gap in it).
3) No CLC at all -- just the raw/native front-month data.

I think that #1 and #3 are the correct data to use, but I'd like to know what others think.
No wait -- now I think #3 is the best, but if you need longer term data then use #2. But for indexes, for long term data, maybe using the spot index is better than using #2.

Thanks.

thoughtful 

Rollover from E-mini SP500 September (U) contract to December (Z) contract had a big "gap" (price difference) from Friday's close (of U contract) to Sunday's open (of Z contract). What is the standard data that everyone is using? 1) CLC backadjusted data (this will have no gap in it). 2) CLC non-adjusted data (this will have the big gap in it). 3) No CLC at all -- just the raw/native front-month data. I think that #1 and #3 are the correct data to use, but I'd like to know what others think. No wait -- now I think #3 is the best, but if you need longer term data then use #2. But for indexes, for long term data, maybe using the spot index is better than using #2. Thanks.

It depends on what you are using the data for. For trading, of course you need to use the current contract. If your indicators need to look back to days before the front-month started, and don't want the gap to affect the indicator calculations (e.g. EMA may "look back" more bars than you think), then you may want to use the continuous back-adjusted contract. If you look for price level of Support & Resistance, or certain divergence, then the back-adjusted contracts may distort the true historical prices. Using the spot index for long-term data may work well if your analysis does not depend on the true price of future contracts (futures price = index + premium).

thoughtful 

Rollover from E-mini SP500 September (U) contract to December (Z) contract had a big "gap" (price difference) from Friday's close (of U contract) to Sunday's open (of Z contract). What is the standard data that everyone is using? 1) CLC backadjusted data (this will have no gap in it). 2) CLC non-adjusted data (this will have the big gap in it). 3) No CLC at all -- just the raw/native front-month data. I think that #1 and #3 are the correct data to use, but I'd like to know what others think. No wait -- now I think #3 is the best, but if you need longer term data then use #2. But for indexes, for long term data, maybe using the spot index is better than using #2. Thanks.

It depends on what you are using the data for. For trading, of course you need to use the current contract. If your indicators need to look back to days before the front-month started, and don't want the gap to affect the indicator calculations (e.g. EMA may "look back" more bars than you think), then you may want to use the continuous back-adjusted contract. If you look for price level of Support & Resistance, or certain divergence, then the back-adjusted contracts may distort the true historical prices. Using the spot index for long-term data may work well if your analysis does not depend on the true price of future contracts (futures price = index + premium).
~ Bill

Billiwon 

It depends on what you are using the data for. ...

Thanks for your thoughts. That sounds right, I agree.

I think most traders use data suppliers who take care of the back-adjusting automatically when the contract month rolls over. There are different ways of back-adjusting data, and they can affect the results from back testing your strategies.

For normal day trading itself, rollover won't have a significant effect on your trading.